Partial derivative with respect to the measure and its application to general controlled mean-field systems

DOI10.1016/j.spa.2021.01.003zbMath1471.93275MaRDI QIDQ2021397

Juan Li, Yajie Chen, Rainer Buckdahn

Publication date: 27 April 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2021.01.003

zbMATH Keywords

maximum principle; variational equation; adjoint equation; partial information; mean-field stochastic differential equation; partial derivative with respect to marginal law

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

Related Items

Extended mean-field control problem with partial observation, A stochastic maximum principle for partially observed general mean-field control problems with only weak solution, Stochastic maximum principle for weighted mean-field system, On the near-viability property of controlled mean-field flows

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